A multi-objective multi-period stochastic programming model for public debt management

Balibek E., Köksalan M.

European Journal of Operational Research, vol.205, no.1, pp.205-217, 2010 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 205 Issue: 1
  • Publication Date: 2010
  • Doi Number: 10.1016/j.ejor.2009.12.001
  • Journal Name: European Journal of Operational Research
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.205-217
  • Keywords: Multiple objective programming, OR in government, Public debt management, Risk analysis, Stochastic programming
  • Middle East Technical University Affiliated: Yes

Abstract

While raising debt on behalf of the government, public debt managers need to consider several possibly conflicting objectives and have to find an appropriate combination for government debt taking into account the uncertainty with regard to the future state of the economy. In this paper, we explicitly consider the underlying uncertainties with a complex multi-period stochastic programming model that captures the trade-offs between the objectives. The model is designed to aid the decision makers in formulating the debt issuance strategy. We apply an interactive procedure that guides the issuer to identify good strategies and demonstrate this approach for the public debt management problem of Turkey. © 2009 Elsevier B.V. All rights reserved.